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The LIBOR reader
Booth, P. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009583081
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
Niffikeer, Cindy I.; Hewins, Robin David; Flavell, Richard - In: Journal of banking & finance 24 (2000) 12, pp. 1903-1932
Persistent link: https://www.econbiz.de/10001531933
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Zinsfutures und Zinsoptionen : erfolgreicher Einsatz an internationalen Terminmärkten
Diwald, Hans - 1999 - 2., völlig überarb. und erw. Aufl
Persistent link: https://www.econbiz.de/10001390683
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Hedge effectiveness : basis risk and minimum-variance hedging
Castelino, Mark G. - In: The journal of futures markets 20 (2000) 1, pp. 89-103
Persistent link: https://www.econbiz.de/10001447801
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A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives
Dang, Duy-Minh - 2010
We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...
Persistent link: https://www.econbiz.de/10013150362
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A Quantum Mechanics for Interest Rate Derivatives Markets
Bueno-Guerrero, Alberto - 2020
We present an axiomatic formulation of the Option Pricing Theory for interest rates, completely analogous to axiomatic … Quantum Mechanics. The role of the wave function is played in the financial theory by discounted zero-coupon bond prices. The … theory is model-free and is linked to term structure models through the Hamiltonian operator. Under the quantum framework, we …
Persistent link: https://www.econbiz.de/10012844994
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Answer to 'Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW' Issued by ISDA
Henrard, Marc P. A. - 2019
This note is an answer the consultation published by ISDA regarding the amendment of documentation to implement fallbacks for certain key IBORs. The answers refer to many technical issues. More details about those issues can be found in the technical note 'A quant perspective on IBOR fallback...
Persistent link: https://www.econbiz.de/10012890972
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Beyond LIBOR : A Primer on the New Benchmark Rates
Schrimpf, Andreas - 2019
The transition from a reference rate regime centred on interbank offered rates (IBORs) to one based on a new set of overnight risk-free rates (RFRs) is an important paradigm shift for markets. This special feature provides an overview of RFR benchmarks, and compares some of their key...
Persistent link: https://www.econbiz.de/10012891113
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The LIBOR Reader
Booth, Philip; Jeffers, Michael - 2021
Short articles on the LIBOR scandal looking for a deeper understanding of the crisisAt the end of June 2012, news of a further scandal in the banking industry broke – although, there was widespread knowledge about this problem within the industry. One UK bank, Barclays, had fines levied by the...
Persistent link: https://www.econbiz.de/10013213236